Is it possible to have domain joined SQL Azure servers or Database so that we can use logins from our Active directory using windows Authentication?
Recently Microsoft announced support for Azure Active Directory login support for Azure SQL Databases in public preview. You can read the blog post announcing this feature here: https://azure.microsoft.com/en-us/blog/preview-azure-ad-authentication-7/ and the documentation here: https://azure.microsoft.com/en-us/documentation/articles/sql-database-aad-authentication/.